我国可转债市场价格与标的股票价格关系的实证研究  

Study on the Interrelationship between Convertible Bonds Market Price and its Underlying Stock Price

作　　者：徐月 Yue Xu(College of Economics and Management,Nanjing Forestry University,Nanjing,Jiangsu,210037,China)

机构地区：[1]南京林业大学经济管理学院,江苏南京210037

出　　处：《管理科学与研究（中英文版）》2022年第11期140-147,共8页Management Science and Research

摘　　要：我国金融市场逐渐对外开放,越来越多的金融工具涌入资本市场,可转债就是其中之一,可转债是兼具了债券性与股权性质的一种既能投资也可融资的金融衍生品。本文以可转债价格和股票价格为研究对象,对两者之间的相关性进行研究并且选择现在已停止交易的14支可转债及其基础股票的市场价格的数据,采用格兰杰因果检验方法研究可转债价格与股票价格之间的相关性。检验结果表示我国可转债的市场价格同基础股票价格之间的关系有较大差异。China's financial market is gradually opening up to the outside world and more and more financial instruments are flooding into the capital market,convertible bonds being one of them.Convertible bond is a derivative financial instrument with the function of investment and financing.This paper examines the correlation between convertible bond price and its underlying stock price.This paper chooses 14 convertible bonds and its stock market price which transactions have been stopped to testify the relevance between convertible bond and its underlying stock price using the Granger causality test method.The result shows that there is a great deal of discrepancy in the interrelationship of the convertible bond market price and its basic stock price.

关 键 词：可转换债券 市场价格 GRANGER因果检验 

分 类 号：F83[经济管理—金融学]